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  1. Are climate change risks priced in the U.S. Stock market?
    Autor*in: Faccini, Renato; Matin, Rastin; Skiadopoulos, George
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We construct novel proxies of physical and transition climate risks by conducting textual analysis of climate-change news over the period 2000-2018. This analysis uncovers four textual variables related to the topics of U.S. climate policy,... mehr

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    We construct novel proxies of physical and transition climate risks by conducting textual analysis of climate-change news over the period 2000-2018. This analysis uncovers four textual variables related to the topics of U.S. climate policy, international summits, natural disasters, and global warming, respectively. The first two variables proxy transition risks, whereas the last two proxy physical risks. We find that only the climate policy factor is priced in the U.S. stock market with the evidence being more pronounced over 2012-2018. The documented premium is consistent with the idea that investors hedge short-term transition risks. We validate this explanation using a narrative approach to measuring climate news. Our results imply that investors' attention is an important driver of asset returns

     
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    Weitere Identifier:
    hdl: 10419/245990
    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 169 (08 February 2021)
    Schlagworte: Climate; Financial Stability; Statistical Method
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  2. Monetary and fiscal policies in times of large debt: unity is strength
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We build and estimate a novel TANK model with partially unfunded debt to study whether the record high debt-to-GDP ratio threatens US inflation stability. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal... mehr

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    We build and estimate a novel TANK model with partially unfunded debt to study whether the record high debt-to-GDP ratio threatens US inflation stability. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal authority stabilizes debt. The central bank accommodates unfunded fiscal shocks, causing persistent movements in inflation and real interest rates, leading to a fiscal theory of trend inflation. Fiscal trend inflation accounts for the bulk of inflation dynamics. The current situation is in line with historical experience. Unfunded shocks sustain the recovery and cause a temporary inflation increase that counteracts deationary non-policy shocks.

     
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    Weitere Identifier:
    hdl: 10419/264897
    Auflage/Ausgabe: Updated version
    Schriftenreihe: Working paper / Danmarks Nationalbank ; no. 159R (20 December 2021)
    Schlagworte: Monetary policy; Public finances; fiscal policy
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Looking beyond the impact of energy prices
    what drives trend inflation in Denmark?
    Autor*in: Borgensgaard, Pernille Valentin; Faccini, Renato
    Erschienen: [2022]
    Verlag:  Danmarks Nationalbank, Copenhagen

    Over the decade that preceded the pandemic recession, wage and price inflation remained low in Denmark and other advanced economies, despite falling unemployment rates. We attribute the subdued inflation to a fall in the propensity of employed... mehr

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    Over the decade that preceded the pandemic recession, wage and price inflation remained low in Denmark and other advanced economies, despite falling unemployment rates. We attribute the subdued inflation to a fall in the propensity of employed workers to look for other jobs and higher wages. This propensity to search on the job is for Danish employees in June 2021 at around the same low levels as observed before the pandemic recession. Unless the employed become more active in the labour market, the same forces that constrained inflation prior to the pandemic recession may continue to operate and affect the pattern of inflation once the current rise in energy and commodity prices has fully passed through to consumer prices.

     
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    Weitere Identifier:
    hdl: 10419/261832
    Schriftenreihe: Economic memo / Danmarks Nationalbank ; no. 6 (2. May 2022)
    Schlagworte: Inflation; Arbeitslosigkeit; Arbeitsplatzwechsel; Dänemark
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  4. A fiscal theory of trend inflation
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: 23 November 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17690
    Schlagworte: Konjunktur; Schock; Geldpolitik; Inflationssteuerung; Inflationserwartung; Regelbindung versus Diskretion; Öffentliche Schulden; Theorie; Unfunded fiscal spending; trend inflation; large public debt; inflation risk; shock-specific rule
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. Monetary and fiscal policies in times of large debt
    unity is strength
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: 06 May 2020
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP14720
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  6. Monetary and fiscal policies in times of large debt
    unity is strength
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: [2020]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    The Covid-19 pandemic found policymakers facing constraints on their ability to react to an exceptionally large negative shock. The current low interest rate environment limits the tools the central bank can use to stabilize the economy, while the... mehr

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    The Covid-19 pandemic found policymakers facing constraints on their ability to react to an exceptionally large negative shock. The current low interest rate environment limits the tools the central bank can use to stabilize the economy, while the large public debt curtails the efficacy of fiscal interventions by inducing expectations of costly fiscal adjustments. Against this background, we study the implications of a coordinated fiscal and monetary strategy aimed at creating a controlled rise of inflation to wear away a targeted fraction of debt. Under this coordinated strategy, the fiscal authority introduces an emergency budget with no provisions on how it will be balanced, while the monetary authority tolerates a temporary increase in inflation to accommodate the emergency budget. In our model, the coordinated strategy enhances the efficacy of the fiscal stimulus planned in response to the Covid-19 pandemic and allows the Federal Reserve to correct a prolonged period of below-target inflation. The strategy results in only moderate levels of inflation by separating long-run fiscal sustainability from a short-run policy intervention.

     
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    hdl: 10419/230391
    Auflage/Ausgabe: Revised
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2020, 13 (May 11, 2020)
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  7. The importance of hiring frictions in business cycles
    Autor*in: Faccini, Renato; Yashiv, Eran
    Erschienen: [2017]
    Verlag:  CFM, Centre for Macroeconomics, London

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    Schriftenreihe: CFM discussion paper series ; CFM-DP 2017, 36 (November 2017)
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  8. A Fiscal Theory of Trend Inflation
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: December 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We develop a new class of general equilibrium models with partially unfunded debt to propose a fiscal theory of trend inflation. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal authority stabilizes... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    We develop a new class of general equilibrium models with partially unfunded debt to propose a fiscal theory of trend inflation. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal authority stabilizes debt. However, the central bank accommodates unfunded fiscal shocks, causing persistent movements in inflation, output, and real interest rates. In an estimated quantitative model, fiscal trend inflation accounts for the bulk of inflation dynamics. As external validation, we show that the model predicts the post-pandemic increase in inflation. Unfunded fiscal shocks sustain the recovery and cause an increase in trend inflation that counteracts deflationary non-policy shocks

     
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    Schriftenreihe: NBER working paper series ; no. w30727
    Schlagworte: Finanzpolitik; Öffentliche Schulden; Öffentliche Ausgaben; Inflationserwartung; Inflationssteuerung; Regelbindung versus Diskretion; Neue Geldtheorie; General; General; Fiscal Policy; Modern Monetary Theory
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  9. A fiscal theory of persistent inflation
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: [2023]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We develop a new class of general equilibrium models with partially unfunded debt to propose a fiscal theory of persistent inflation. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal authority stabilizes... mehr

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    We develop a new class of general equilibrium models with partially unfunded debt to propose a fiscal theory of persistent inflation. In response to business cycle shocks, the monetary authority controls inflation, and the fiscal authority stabilizes debt. However, the central bank accommodates unfunded fiscal shocks, causing persistent movements in inflation, output, and real interest rates. In an estimated quantitative model, fiscal inflation accounts for the bulk of inflation dynamics. In the aftermath of the pandemic, unfunded fiscal shocks sustain the recovery, but also cause a persistent increase in inflation. The model is able to predict the inflationary effects of the ARPA fiscal stimulus out of sample and using real time data.

     
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    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 195 (30 May 2023)
    Schlagworte: Unfunded fiscal spending; persistent inflation; large public debt; inflation risk; shock-specific rule
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  10. Monetary and fiscal policies in times of large debt
    unity is strength
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: May 2020
    Verlag:  National Bureau of Economic Research, Cambridge, MA

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    Schriftenreihe: Working paper series / National Bureau of Economic Research ; 27112
    Umfang: 33 Seiten, Illustrationen
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  11. The importance of hiring frictions in business cycles
    Autor*in: Faccini, Renato; Yashiv, Eran
    Erschienen: January 2020
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    Hiring is a costly activity reflecting firms' investment in their workers. Micro-data shows that hiring costs involve production disruption. Thus, cyclical fluctuations in the value of output, induced by price frictions, have consequences for the... mehr

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    Hiring is a costly activity reflecting firms' investment in their workers. Micro-data shows that hiring costs involve production disruption. Thus, cyclical fluctuations in the value of output, induced by price frictions, have consequences for the optimal allocation of hiring activities. We outline a mechanism based on cyclical markup fluctuations, placing emphasis on hiring frictions interacting with price frictions. This mechanism generates strong propagation and amplification of all key macroeconomic variables in response to technology shocks and mutes the traditional transmission of monetary policy shocks. A local projection analysis of aggregate U.S. data shows that the empirical results, including the cyclicality of markups, are consistent with the model's impulse response functions.

     
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    hdl: 10419/215285
    Schriftenreihe: Discussion paper series / IZA ; no. 12889
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  12. Monetary and fiscal policies in times of large debt: unity is strength
    Autor*in: Bianchi, Francesco; Faccini, Renato; Melosi, Leonardo
    Erschienen: [2020]
    Verlag:  Danmarks Nationalbank, Copenhagen

    The current low interest rate environment limits the tools of the central bank to stabilize the economy, while the large public debt curtails the efficacy of fiscal interventions by inducing expectations of costly fiscal adjustments. Against this... mehr

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    The current low interest rate environment limits the tools of the central bank to stabilize the economy, while the large public debt curtails the efficacy of fiscal interventions by inducing expectations of costly fiscal adjustments. Against this background, we study the implications of a coordinated fiscal and monetary strategy aimed at creating a controlled rise of inflation to wear away a targeted fraction of debt. Under this strategy, the fiscal authority introduces an emergency budget with no provisions on how it will be balanced, while the monetary authority tolerates a temporary increase in inflation to accommodate the emergency budget. In our model the coordinated strategy enhances the efficacy of the fiscal stimulus planned in response to the COVID pandemic and allows the Federal Reserve to correct a prolonged period of below-target inflation. This strategy results in only moderate levels of inflation by separating long-run fiscal sustainability from a short-run policy intervention."

     
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    hdl: 10419/227877
    Schriftenreihe: Working paper / Danmarks Nationalbank ; no. 159 (6 July 2020)
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  13. The importance of hiring frictions in business cycles
    Autor*in: Faccini, Renato; Yashiv, Eran
    Erschienen: [2022]
    Verlag:  The Foerder Institute for Economic Research, Tel Aviv University, The Eitan Berglas School of Economics, Tel Aviv, Israel

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    Schriftenreihe: Discussion paper / Foerder Institute for Economic Research and the Sackler Institute for Economic Studies ; no. 2022, 5
    Schlagworte: Business cycles; propagation and amplification; markup cyclicality; hiring as investment; intertemporal allocation; confluence of hiring and price frictions
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  14. Financial frictions
    micro vs. macro volatility
    Autor*in: Faccini, Renato; Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O.; Renkin, Tobias
    Erschienen: [2024]
    Verlag:  Danmarks Nationalbank, Copenhagen

    Consumer credit spreads significantly impact consumption and asset dynamics, affecting indebted households' spending behavior and the income sensitivity of consumption. Analyzing Danish data, we find that elevated credit spreads reduce consumption of... mehr

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    Consumer credit spreads significantly impact consumption and asset dynamics, affecting indebted households' spending behavior and the income sensitivity of consumption. Analyzing Danish data, we find that elevated credit spreads reduce consumption of indebted households. Our results suggest that the marginal propensity to consume (MPC) is countercyclical, with credit spreads playing a crucial role. We develop a HANK model, incorporating bank financing for both firms and households. Agency frictions generate a countercyclical credit spread, which induces heterogeneous incidence of aggregate shocks consistent with the data. Banking regulation, while stabilizing at the aggregate level, may induce volatility at the household level.

     
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    Schriftenreihe: Array ; no. 200 (12 February 2024)
    Schlagworte: Household consumption; consumer credit spreads; business cycles; financial frictions; incomplete markets; macroprudential regulation; monetary policy
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  15. A new predictor of U.S. real economic activity
    the S&P 500 option implied risk aversion
    Autor*in: Faccini, Renato; Konstantinidi, Eirini; Skiadopoulos, George; Sarantopoulou-Chiourea, Sylvia
    Erschienen: [2018]
    Verlag:  School of Economics and Finance, Queen Mary University of London, London

    We propose a new predictor of U.S. real economic activity (REA), namely the representative investor's implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related to... mehr

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    We propose a new predictor of U.S. real economic activity (REA), namely the representative investor's implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related to future economic conditions. We document that U.S. IRRA predicts U.S. REA both in-and out-of-sample once we control for well-known REA predictors and take into account their persistence. An increase (decrease) in IRRA predicts a decrease (increase) in REA. We extend the empirical analysis by extracting IRRA from the South Korea, UK, Japanese and German index option markets. We find that South Korea IRRA predicts the South Korea REA both in-and out-of-sample, as expected given the high liquidity of its index option market. We show that a parsimonious yet flexible production economy model calibrated to the U.S. economy can explain the documented negative relation between risk aversion and future economic growth.

     
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    hdl: 10419/184801
    Schriftenreihe: Working paper / School of Economics and Finance, Queen Mary University of London ; no. 850 (January 2018)
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  16. Wage rigidities in an estimated DSGE model of the UK labour market
    Autor*in: Faccini, Renato; Millard, Stephen Patrick; Zanetti, Francesco
    Erschienen: 2011
    Verlag:  Bank of England, London

    We estimate a New Keynesian model with matching frictions and nominal wage rigidities on UK data. We are able to identify important structural parameters, recover the unobservable shocks that have affected the UK economy since 1971 and study the... mehr

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    We estimate a New Keynesian model with matching frictions and nominal wage rigidities on UK data. We are able to identify important structural parameters, recover the unobservable shocks that have affected the UK economy since 1971 and study the transmission mechanism. With matching frictions, wage rigidities have limited effect on inflation dynamics, despite improving the empirical performance of the model. The reason is that with matching frictions, marginal costs depend on unit labour costs and on an additional component related to search costs. Wage rigidities affect both components in opposite ways leaving marginal costs and inflation virtually unaffected.

     
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    Schriftenreihe: Working paper / Bank of England ; 408
    Schlagworte: Arbeitsmarkt; Matching; Lohnrigidität; Dynamisches Gleichgewicht; Theorie; Großbritannien
    Umfang: Online-Ressource (PDF-Datei: 43 S., 849,58 KB), graph. Darst.
  17. The hiring frictions and price frictions nexus in business cycle models
    Autor*in: Faccini, Renato; Yashiv, Eran
    Erschienen: 2016
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP 11639
    Schlagworte: Konjunkturtheorie; DSGE-Modell; Lohnrigidität; Preisrigidität; Neoklassische Synthese; Schock; Theorie
    Umfang: 53 Seiten, Illustrationen
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  18. News uncertianty in Brexit UK
    Autor*in: Faccini, Renato; Palombo, Edoardo
    Erschienen: [2020]
    Verlag:  Danmarks Nationalbank, Copenhagen

    After the Brexit referendum the behavior of the UK economy defied widespread expectations, as it did not exhibit a V-shaped recession, but a slow decline in production. We show that this pattern of propagation arises when uncertainty is about future,... mehr

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    After the Brexit referendum the behavior of the UK economy defied widespread expectations, as it did not exhibit a V-shaped recession, but a slow decline in production. We show that this pattern of propagation arises when uncertainty is about future, rather than current fundamentals, and if the expected duration of uncertainty is sufficiently long. We reach this conclusion within the confines of a heterogeneous firms model featuring news uncertainty, instead of conventional uncertainty shocks. In the quantitative analysis, uncertainty is informed by firm-level probability distributions on the expected effect of Brexit on sales.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/227878
    Schriftenreihe: Working paper / Danmarks Nationalbank ; no. 160 (11 August 2020)
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  19. Pigouvian cycles
    Autor*in: Melosi, Leonardo; Faccini, Renato
    Erschienen: 05 December 2018
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Discussion paper series / Centre for Economic Policy Research ; DP13370
    Umfang: 65 Seiten, Illustrationen
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  20. Bad jobs and low inflation
    Autor*in: Melosi, Leonardo; Faccini, Renato
    Erschienen: 27 March 2019
    Verlag:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP13628
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  21. Bad jobs and low inflation
    Autor*in: Faccini, Renato; Melosi, Leonardo
    Erschienen: [2020]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    We study a model in which firms compete to retain and attract workers searching on the job. A drop in the rate of on-the-job search makes such wage competition less likely, reducing expected labor costs and lowering inflation. This model explains why... mehr

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    We study a model in which firms compete to retain and attract workers searching on the job. A drop in the rate of on-the-job search makes such wage competition less likely, reducing expected labor costs and lowering inflation. This model explains why inflation has remained subdued over the last decade, which is a conundrum for general equilibrium models and Phillips curves. Key to this success is the observed slowdown in the recovery of the employment-to-employment transition rate in the last five years, which is interpreted by the model as a decline in the share of employed workers searching for a job. This fall in the on-the-job search rate is corroborated by the micro data.

     
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    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2020, 09 (March 2, 2020)
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  22. News uncertainty in Brexit U.K.
    Autor*in: Faccini, Renato; Palombo, Edoardo
    Erschienen: December 4, 2019
    Verlag:  CFM, Centre for Macroeconomics, London

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    Schriftenreihe: CFM discussion paper series ; CFM-DP 2019, 21
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  23. Bad jobs and low inflation
    Autor*in: Faccini, Renato; Melosi, Leonardo
    Erschienen: [2020]
    Verlag:  Danmarks Nationalbank, Copenhagen

    The low rate of inflation observed in the U.S. over the entire past decade is hard to reconcile with traditional measures of labor market slack. We show that an alternative notion of slack that encompasses workers' propensity to search on the job... mehr

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    The low rate of inflation observed in the U.S. over the entire past decade is hard to reconcile with traditional measures of labor market slack. We show that an alternative notion of slack that encompasses workers' propensity to search on the job explains this missing inflation. We derive this novel concept of slack from a model in which a drop in the on-the-job search rate lowers the intensity of interfirm wage competition to retain or hire workers. The on-the-job search rate can be measured directly from aggregate labor-market flows and is countercyclical. Its recent drop is corroborated by micro data.

     
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    hdl: 10419/227873
    Schriftenreihe: Working paper / Danmarks Nationalbank ; no. 155 (18 May 2020)
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  24. Job-to-job mobility and inflation
    Autor*in: Faccini, Renato; Melosi, Leonardo
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    The low rate of inflation observed in the U.S. over the past decade is hard to reconcile with traditional measures of labor market slack. We develop a theory-based indicator of interfirm wage competition that can explain the missing inflation. Key to... mehr

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    DS 244
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    The low rate of inflation observed in the U.S. over the past decade is hard to reconcile with traditional measures of labor market slack. We develop a theory-based indicator of interfirm wage competition that can explain the missing inflation. Key to this result is a drop in the rate of on-the-job search, which lowers the intensity of interfirm wage competition to retain or hire workers. We estimate the on-the-job search rate from aggregate labor-market flows and show that its recent drop is corroborated by survey data. During "the great resignation", the indicator of interfirm wage competition rose, raising inflation by around 1 percentage point during most of 2021.

     
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    Weitere Identifier:
    hdl: 10419/272818
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2023, 03 (January 19, 2023)
    Schlagworte: Missing inflation; labor market slack; Phillips curve; employment-to-employment rate; micro data
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  25. Job-to-job mobility and inflation
    Autor*in: Faccini, Renato; Melosi, Leonardo
    Erschienen: 21 January 2023
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP17829
    Schlagworte: Missing ináation; labor market slack; Phillips curve; employment-to-employmentrate; micro data
    Umfang: 1 Online-Ressource (circa 70 Seiten), Illustrationen